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Obviously, you do not buy the watch from the mall itself--but from a dealer *in* the mall. A dealer being in or outside a mall has nothing to do with their legitimacy as a dealer of any particular brand.
So what you need to focus on is the dealer status of that specific dealer you were looking at. Are they an authorized TAG dealer? If so, then it should be fine. Though I suspect that if they were offering 30% off retail, they probably are not authorized by TAG.
It is not unusual to find reputable watch dealers that are not authorized for all the brands they sell.
Read the article on Gray Market watches in the Consumer Zone here on Chronocentric. It explains more.